Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/177693
Authors: 
Chang, Chia-Lin
Hsu, Shu-Han
McAleer, Michael
Year of Publication: 
2018
Series/Report no.: 
Tinbergen Institute Discussion Paper TI 2018-003/III
Abstract: 
The number of Chinese tourists visiting Taiwan has been closely related to the political relationship across the Taiwan Strait. The occurrence of political events and disasters or accidents have had, and will continue to have, a huge impact on the Taiwan tourism market. To date, there has been relatively little empirical research conducted on this issue. In this paper, tourists are characterized as being involved in one of three types of tourism: group tourism (group-type), individual tourism (individual-type), and medical cosmetology (medical-type). We use McAleer’s (2015) fundamental equation in tourism finance to examine the correlation that exists between the rate of change in the number of tourists and the rate of return on tourism. Second, we use the event study method to observe whether the numbers of tourists have changed abnormally before and after the occurrence of major events on both sides of the Strait. Three different types of conditional variance models, namely, GARCH (1,1), GJR (1,1) and EGARCH (1,1), are used to estimate the abnormal rate of change in the number of tourists. The empirical results concerning the major events affecting the changes in the numbers of tourists from China to Taiwan are economically significant, and confirm which types of tourists are most likely to be affected by such major events.
Subjects: 
Event study
Abnormal rate of change
Chinese tourists
OLS
GARCH
GJR
EGARCH
Tourism finance
JEL: 
G14
C22
C52
C58
Document Type: 
Working Paper
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